Analytic Finance

The analytic finance concentration allows you to gain a deeper and more precise knowledge of financial theories, their application to a variety of business problems, and the empirical work by which we learn how the financial world works. Chicago Booth offers the largest number of advanced finance classes of any business school, and the analytic finance concentration gives recognition to students who pursue this specialization.

At Chicago Booth, you'll learn to do cutting-edge analysis as practiced in hedge funds, investment banks, risk management, and more. How do you evaluate a hedge-fund manager? How should an airline hedge its exposure to jet fuel costs? How is the value of a structured mortgage product affected if interest rates rise 1%? What is the evidence that the "carry trade" in international markets works? You will learn the quantitative tools needed to sift through complex financial data and analysis to create innovative solutions to real financial issues.

You'll have the chance to explore activities outside the classroom in numerous ways that will also allow you to build new skills, relationships, and networks. These include:

Chicago Booth Banking Club - The mission of the Chicago Booth Banking Club (CBBC) is to further educational, networking, and professional development opportunities in an effort to promote careers in investment banking to its members. The CBBC’s goals are to help its members make informed decisions about whether a career in investment banking is right for them and to provide support should they choose to pursue such a career. While the CBBC is open to all members of the Chicago Booth community, including students and alumni of the Full-Time MBA and Executive MBA programs, it primarily serves the needs of the Evening MBA and Weekend MBA programs.

Investment Management Group (weIMG) - weIMG provides students with opportunities to gain exposure to and delve deeper into the richness of the investment management field.

You’ll have the option of taking courses that address your individual career choices. Samples include:

Advanced Models of Option Pricing and Credit Risk - This course covers the analytical and numerical methodologies applied by hedge funds and derivatives trading desks to price complex derivative securities and devise arbitrage strategies. In a world of increasingly higher sophistication, the valuation of complex derivative securities and the design of arbitrage strategies require the understanding and application of advanced models of option pricing, and their application to real data. This course emphasizes both, and provides students with real-world problems to solve.

Theory of Financial Decisions 1 - This PhD-level course is concerned with models for portfolio decisions by investors and the pricing of securities in capital markets. It is meant to be difficult, but accessible to the motivated MBA student.

Advanced Investments - This course has one central theme. Asset pricing has undergone a sea change in the last 20 years or so, with the realization that expected returns do vary across time, and across assets, in ways that the static CAPM and random-walk view does not recognize. We will cover a range of topics, including 1) how stock and bond returns can be predicted over time; 2) understanding the volatility of stock and bond returns; 3) multi-factor models for understanding the cross-sectional pattern of average returns, such as value, growth and momentum effects; 4) the size of the average market return and its relation to fundamental risks; 5) optimal portfolios that reflect multifactor models, return predictability, and hedging motives; 6) advanced trading strategies used by trading desks and hedge funds; 7) performance evaluation and benchmarks for funds; 8) liquidity effects and "bubbles" in stocks and bonds.

Fixed-Income Asset Pricing - This course covers state-of-the art models and techniques required to analyze fixed-income instruments, and their derivatives, in modern financial markets. By the end of the course, students will learn 1) the basic concepts of fixed-income instruments, such as yield, duration, and convexity; 2) the modern empirical methodologies to describe Treasury and corporate bond data, such as "curve fitting," factor analysis, and default probabilities; 3) the most recent modeling techniques for fixed-income derivative products used in the street, such as the models of Vasicek, Cox Ingersoll, and Ross, Ho and Lee, Hull and White, Black-Derman-Toy, and Heath-Jarrow-Morton; and, importantly, 4) how to use these models in practice to value both traditional derivative instruments, such as swaps, bond options, caps and floors, as well as the more recent products, such as inverse floaters, range notes, mortgage backed securities, and credit derivatives. The key feature of Fixed-Income Asset Pricing is that it strongly emphasizes the applications of these models to value real-world fixed-income products, and their derivatives, by focusing both on the practical difficulties of applying models to the data, as well as on the necessity to use computers to compute prices.

Cases in Financial Risk Management - Financial risk management is reported to be the main reason for the use of financial derivatives by non-financial institutions. This course has two main objectives. The first is to cover techniques to identify, measure, and manage corporate financial risk, as modern financial markets and regulation require. Specifically, topics of discussion will include dynamic hedging and portfolio replication, the development of value-at-risk, the management of exchange-rate risk, interest-rate risk, credit risk, and operation risk. The second main objective is to build a framework to integrate financial risk-management solutions with long-term corporate strategy. We will discuss cases where the use of financial engineering was vital for the success of a business strategy. Typical applications in this case include privatizations, mergers and acquisitions, and financing strategies, among others. However, the course will focus more on the uses of derivative securities rather than their technical aspects.

You’ll study with professors who conduct groundbreaking research and are recognized for their impact on the theories and models associated with investments and financial markets.

John H. Cochrane

John H. Cochrane, AQR Capital Management Distinguished Service Professor of Finance, is a research associate and past director of the asset pricing program of the National Bureau of Economic Research and a Fellow of the Econometric Society. His recent publications include the book Asset Pricing and numerous articles on his research topics.

Lin Cong

Lin William Cong, assistant professor of finance, primarily studies corporate finance and investments. His research interests include real options, entrepreneurial finance, market efficiency, statistical learning, financial intermediation, and China's economy and capital markets. He was a George Shultz Scholar at the Stanford Institute for Economic Policy Research and a PhD Fellow at the Stanford Institute for Innovation in Developing Economies.

George M. Constantinides

George M. Constantinides, Leo Melamed Professor of Finance, studies the causes of the historically observed premium of equity returns over bond returns, the value premium, and the size premium; the pricing and hedging of fixed-income securities, options, futures, and other derivatives; the effects of transaction costs and taxes on the pricing of derivatives; and portfolio management.

Douglas W. Diamond

Douglas W. Diamond, Merton H. Miller Distinguished Service Professor of Finance, specializes in the study of financial intermediaries, financial crises, and liquidity. His work has appeared in such notable journals as the Journal of Financial Economics, the Journal of Finance, the Review of Economic Studies, the American Economic Review, and the Journal of Political Economy.

Eugene F. Fama

Eugene F. Fama, Robert R. McCormick Distinguished Service Professor of Finance, is widely recognized as the "father of modern finance." Fama is among the most cited of America's researchers. He focuses much of his study on the relation between risk and return and implications for portfolio management.

Stefano Giglio

Stefano Giglio, assistant professor of finance, has research interests that span several topics, including asset pricing, macroeconomics, and real estate, with a particular focus on the role of frictions in credit markets. His work has been published in the American Economic Review and in the Journal of Monetary Economics. His most recent paper explores the role of counterparty risk in Credit Default Swap markets and its relation to the measurement of systemic risk. For his work at Harvard, he has received the Martin Cornerstone Grant and the Douglas Dillon Fellowship from the University.

Sam Hartzmark

Sam Hartzmark, assistant professor of finance, studies asset pricing and behavioral finance. His research has appeared in the Journal of Financial Economics and the Quarterly Journal of Finance. He has received a number of awards, including the UBS Global Asset Management Award, the Michael J. Barclay young scholar award, and he was a finalist for the 2014 AQR Insight award.

Tarek Hassan

Tarek Hassan, associate professor of finance and economics, studies applied and theoretical econometrics, the uses of high-dimensional statistical methods in economic applications, estimation of panel data models, quantile regression, and weak instruments. In 2008, Hassan was named a Neubauer Family Faculty Fellow.

Zhiguo He

Zhiguo He, associate professor of finance and Robert King Steel Faculty Fellow, is primarily interested in agency frictions in corporate finance and asset pricing, with a special focus on contract theory. Before joining the Chicago Booth faculty in 2008, he was visiting the Bendheim Center for Finance at Princeton University as a postdoctoral fellow. He also taught at Northwestern University, and was a stock analyst at the China International Capital Corporation in Beijing in 2001.

John C. Heaton

John C. Heaton, Joseph L. Gidwitz Professor of Finance; Deputy Dean for Faculty, studies asset pricing, portfolio allocation, and time-series economics. His research in these areas has earned him numerous fellowships, including an Alfred P. Sloan Research Fellowship, a National Science Foundation Fellowship, and a Provost Fund Fellowship from Massachusetts Institute of Technology (MIT).

Steve Kaplan

Steven Neil Kaplan, Neubauer Family Distinguished Service Professor of Entrepreneurship and Finance, was named one of Businessweek's top 12 business teachers in the country, and has served on the boards of Illinois Venture Capital Association and Morningstar. He is widely published in academic journals and often quoted for his expertise in publications like the Wall Street Journal and Bloomberg.

Anil Kashyap

Anil Kashyap, Edward Eagle Brown Professor of Economics and Finance and Charles M. Harper Faculty Fellow, focuses his research on banking, business cycles, corporate finance, price setting, and monetary policy. His research has won him numerous awards, including a Sloan Research Fellowship, the Nikkei Prize for Excellent Books in Economic Sciences, and a Senior Houblon-Norman Fellowship from the Bank of England.

Bryan Kelly

Brian Kelly, associate professor of finance, has research interests including theoretical and empirical asset pricing; models of tail risk, volatility and correlation dynamics; and asymmetric information in asset markets. He is a faculty research fellow at the National Bureau of Economic Research and an associate editor of the Journal of Financial Econometrics.

Juhani Linnainmaa

Juhani Linnainmaa, associate professor of finance, studies investor behavior, asset pricing models and portfolio choice, and mutual fund performance. His published research includes “Do limit orders alter inferences about investor performance and behavior?” which appeared in the Journal of Finance and “Do investors buy what they know? Product market choices and investment decisions,” which appeared in the Review of Financial Studies.

Gregor Matvos

Gregor Matvos, associate professor of finance, studies corporate finance and organizational economics. His paper "Cross-Ownership, Returns, and Voting in Mergers," written with Michael Ostrovsky, is published in the Journal of Financial Economics and has been covered in several media, including the Financial Times and US News.

Scott Meadow

Scott Meadow, clinical professor of entrepreneurship, has been a general partner in private equity for more than 25 years, and has founded such projects as Sports Authority and Sunrise Assisted Living.

Tobias J. Moskowitz

Tobias J. Moskowitz, Fama Family Professor of Finance, was recognized by the American Finance Association with its 2007 Fischer Black Prize, which honors the top finance scholar under the age of 40. The award cited his "ingenious and careful use of newly available data to address fundamental questions in finance."

Stavros Panageas

Stavros Panageas, associate professor of finance, studies asset pricing and macroeconomics. Previously he has taught at the Wharton School of the University of Pennsylvania. He is a faculty research fellow of the National Bureau of Economic Research and he has been a visiting scholar at the Federal Reserve Bank of Minneapolis and the London School of Economics.

Lubos Pastor

Lubos Pastor, Charles P. McQuaid Professor of Finance, focuses his research mostly on financial markets and asset management. His latest work analyzes the effects of political uncertainty on asset prices. He has also written on a broad range of topics such as liquidity risk, stock price bubbles, portfolio choice, performance evaluation, stock volatility, return predictability, technological revolutions, and IPOs. He has analyzed various effects of parameter uncertainty and learning in finance.

Jacopo Ponticelli

Jacopo Ponticelli, assistant professor of finance, is an applied economist that primarily studies corporate finance and development economics. Most of his work is focused on financial frictions faced by firms in emerging economies. His latest paper, "Court Enforcement and Firm Productivity," studies the role of the judicial system in shaping the impact of a bankruptcy reform in Brazil.

Raghuram G. Rajan

Raghuram G. Rajan, Distinguished Service Professor of Finance, is on leave from Chicago Booth, serving as the governor of the Reserve Bank of India. Rajan was chief economist at the International Monetary Fund from 2003 to 2006. He is the author, along with fellow Chicago Booth faculty member Luigi Zingales, of the book Saving Capitalism from the Capitalists. He received the inaugural Fischer Black Prize in 2003.

Kevin Rock

Kevin Rock, AM ’80, MBA ’80, PhD ’82, clinical professor of finance, has been a faculty member in the finance area at the Wharton School of the University of Pennsylvania, the Harvard Graduate School of Business Administration, the Sloan School of Management at the Massachusetts Institute of Technology, and the University of Chicago Booth School of Business.

Jeff Russell

Jeff Russell, Alper Family Professor of Econometrics and Statistics, conducts research on financial econometrics, time series, applied econometrics, empirical market microstructure, and high frequency financial data. Russell's recent research has focused on using intraday price data to measure and predict financial asset volatility. His research is supported by a Morgan Stanley Equity Microstructure Grant, and he is the recipient of an Alfred P. Sloan Doctoral Dissertation Fellowship.

Amit Seru

Amit Seru, professor of finance, is interested in issues related to financial intermediation and regulation, interaction of internal organization of firms with financing and investment, and incentive provision in firms. His papers in these areas have been published in the Quarterly Journal of Economics, the Journal of Finance, the Journal of Financial Economics, the Journal of Monetary Economics and the Review of Financial Studies.

Kelly Shue

Kelly Shue, assistant professor of finance, focuses her research on social networks, executive compensation, mergers and acquisitions, credit markets, and corporate social responsibility. Her current research explores the extent to which financial markets underreact to “no news,” i.e., the pure passage of time. Her work on executive social networks was awarded the 2012 Wharton School-WRDS Award for Best Empirical Finance Paper.

Amir Sufi

Amir Sufi, Chicago Board of Trade Professor of Finance, studies the broad areas of finance and macroeconomics. His research has won numerous prizes, including the Brattle Prize for Distinguished Paper from the Journal of Finance and the inaugural Young Researcher Prize from the Review of Financial Studies. Sufi has articles published in the American Economic Review, the Journal of Finance and the Quarterly Journal of Economics. His recent research on housing and the macroeconomy has been profiled in the New York Times, the Wall Street Journal, and the Economist. He was also awarded an Alfred P. Sloan Research Fellowship in 2011.

Margarita Tsoutsoura

Margarita Tsoutsoura, associate professor of finance, studies empirical corporate finance, entrepreneurial finance, family firms, and financial intermediation. Her most recent research for her dissertation looked at the effect of succession taxes on entrepreneurs’ succession decisions, investment decisions, and financial policies. Tsoutsoura earned the 2009 Kauffman Foundation Dissertation Fellowship for this work, which is titled “The Effect of Succession Taxes on Family Firm Investment: Evidence from a Natural Experiment.” The Fulbright Fellowship and the WFA Trefftzs Award are amongst Tsoutsoura’s other varied honors and fellowships.

Pietro Veronesi

Pietro Veronesi, Roman Family Professor of Finance, conducts research that focuses on asset pricing, stock and bond valuation under Bayesian uncertainty and learning, stock market bubbles and crashes, return predictability and stochastic volatility, and equilibrium models on political uncertainty and asset prices. Veronesi is a research associate of the National Bureau of Economic Research and a research fellow of the Center for Economic and Policy Research.

Michael Weber, assistant professor of finance and Neubauer Family Faculty Fellow, research interests include asset pricing, macroeconomics, international finance, and household finance. His work on downside risk in currency markets and other asset classes earned the 2013 AQR Insight Award and is forthcoming in the Journal of Financial Economics.

Luigi Zingales

Luigi Zingales, Robert C. McCormack Distinguished Service Professor of Entrepreneurship and Finance and the David G. Booth Faculty Fellow, is coauthor with Raghuram G. Rajan of Saving Capitalism from the Capitalists. The book received acclaim from the Wall Street Journal and the Washington Post.

Eric Zwick

Eric Zwick, assistant professor of finance and Neubauer Family Faculty Fellow, studies the interaction between public policy and corporate behavior, with a focus on fiscal stimulus, taxation, and housing policy. His research draws insights from finance and behavioral economics while using a variety of methods: new data, natural experiments, theory, and anecdotal exploration.